Row
Rank
Predicted Beta
Idiosyncratic Volatility
Row
Annualized return and volatility
| Close | |
|---|---|
| Annualized Return | 0.0036 |
| Annualized Std Dev | 0.2286 |
| Annualized Sharpe (Rf=0%) | 0.0155 |
Row
Daily Return Statistics
| Close | |
|---|---|
| Observations | 3435.0000 |
| NAs | 1.0000 |
| Minimum | -0.2325 |
| Quartile 1 | -0.0037 |
| Median | 0.0006 |
| Arithmetic Mean | 0.0001 |
| Geometric Mean | 0.0000 |
| Quartile 3 | 0.0047 |
| Maximum | 0.1464 |
| SE Mean | 0.0002 |
| LCL Mean (0.95) | -0.0004 |
| UCL Mean (0.95) | 0.0006 |
| Variance | 0.0002 |
| Stdev | 0.0144 |
| Skewness | -1.4966 |
| Kurtosis | 40.4106 |
Downside Risk
| Close | |
|---|---|
| Semi Deviation | 0.0108 |
| Gain Deviation | 0.0107 |
| Loss Deviation | 0.0138 |
| Downside Deviation (MAR=210%) | 0.0150 |
| Downside Deviation (Rf=0%) | 0.0108 |
| Downside Deviation (0%) | 0.0108 |
| Maximum Drawdown | 0.6251 |
| Historical VaR (95%) | -0.0181 |
| Historical ES (95%) | -0.0355 |
| Modified VaR (95%) | -0.0173 |
| Modified ES (95%) | -0.0173 |
| From | Trough | To | Depth | Length | To Trough | Recovery |
|---|---|---|---|---|---|---|
| 2007-08-01 | 2009-03-09 | 2010-10-04 | -0.6251 | 801 | 404 | 397 |
| 2013-05-13 | 2020-03-18 | NA | -0.5097 | 1979 | 1725 | NA |
| 2011-06-01 | 2011-08-08 | 2012-10-04 | -0.2236 | 341 | 48 | 293 |
| 2012-10-08 | 2012-11-14 | 2013-03-13 | -0.1309 | 106 | 26 | 80 |
| 2010-11-09 | 2010-12-15 | 2011-04-06 | -0.1291 | 103 | 26 | 77 |
Row
Monthly and Calendar Year Returns
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Close | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2007 | NA | NA | NA | NA | NA | NA | 0 | -1.5 | 0.6 | -0.7 | 1 | -0.3 | -1 |
| 2008 | 0.7 | -0.1 | 2.6 | 1.3 | 1.6 | 1.3 | 2.5 | 1.8 | 9.2 | -1.3 | -3 | 1.3 | 19 |
| 2009 | -1.5 | -1.9 | 2.6 | 0 | 4.9 | 1.9 | -1.2 | 0.3 | 0.1 | -1.9 | 0.6 | -0.2 | 3.7 |
| 2010 | 2.1 | 1.3 | 1.3 | -0.6 | 0.3 | -1 | -0.3 | -0.5 | 0.2 | -0.1 | 0.9 | 0.8 | 4.4 |
| 2011 | 1 | 0.3 | -0.1 | 0.1 | -0.4 | -0.4 | 2.8 | 0.6 | -1.3 | -1.5 | 0 | 0.3 | 1.4 |
| 2012 | -0.1 | 0.6 | -0.6 | 0.7 | -1.8 | 0.3 | -0.7 | 0.1 | -0.5 | 0.5 | -0.5 | 0.9 | -0.8 |
| 2013 | -0.2 | -0.5 | 0 | 0 | -1.7 | 0.6 | 0 | -0.7 | 0.9 | 0.3 | 0.4 | 0 | -0.9 |
| 2014 | 0 | -0.2 | 0 | -0.2 | 0 | -0.4 | -0.2 | 0 | -0.1 | 0.1 | -0.2 | 0.7 | -0.7 |
| 2015 | 0 | 0.4 | 0.4 | 0.2 | -0.4 | 0.4 | 0.3 | -0.6 | 0.1 | -0.5 | 1.1 | 1.3 | 2.6 |
| 2016 | 0.1 | 0.6 | 1.3 | 0.5 | 0.5 | 0.3 | 0.4 | 0 | 0.7 | 0.5 | 0.3 | 0.3 | 5.6 |
| 2017 | 0.1 | 0.1 | 0.2 | 0.3 | 0.4 | 0.4 | 0 | 0.2 | 0.4 | 0 | -0.1 | -0.3 | 1.7 |
| 2018 | 0.2 | -0.3 | 0.5 | -0.1 | 0 | 0.5 | 0.2 | -0.4 | 1.2 | 0.6 | 0.3 | -0.1 | 2.7 |
| 2019 | 0 | -0.4 | 0.2 | 0.4 | -0.5 | 1 | 0.1 | 1.6 | 0 | 1.1 | -0.1 | 0.8 | 4.2 |
| 2020 | 0.4 | -5.5 | -4.3 | -1.2 | 1.8 | 1.2 | -0.1 | 0.1 | 1.5 | -1.1 | 0.7 | 0.6 | -5.8 |
| 2021 | -0.1 | 0.6 | -0.1 | NA | NA | NA | NA | NA | NA | NA | NA | NA | 0.4 |
Row
Price Chart
# tidytable [6 × 21]
datadate Close tic.x spy ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y gld ret.y ret_1W.y
<date> <dbl> <chr> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <chr> <dbl> <dbl> <dbl>
1 2007-07-27 20 SPY 145. -0.0197 -0.0547 -0.0352 -0.0296 0.144 0.322 0.728 GLD 65.4 -3.70e-3 -0.0321
2 2007-07-30 20 SPY 147. 0.0156 -0.0428 -0.0199 -0.0061 0.163 0.339 0.722 GLD 65.8 5.50e-3 -0.0252
3 2007-07-31 20.0 SPY 146. -0.0113 -0.0369 -0.0313 -0.0198 0.139 0.318 0.623 GLD 65.8 3.00e-4 -0.0249
4 2007-08-01 20 SPY 146. 0.0049 -0.0342 -0.0353 -0.0208 0.145 0.321 0.610 GLD 65.9 2.10e-3 -0.0145
5 2007-08-02 19.8 SPY 148. 0.008 -0.0028 -0.0311 -0.0183 0.160 0.329 0.619 GLD 65.9 -6.00e-4 0.0037
6 2007-08-03 19.6 SPY 144. -0.0257 -0.009 -0.0551 -0.0472 0.123 0.305 0.620 GLD 66.7 1.21e-2 0.0196
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>Row
Rolling Performance Chart
Row
Snail Trail Chart
